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Glossary

SOFR

The Secured Overnight Financing Rate (SOFR) is a near-risk free rate measuring the cost of borrowing cash overnight collateralized by Treasury securities.

While most LIBOR submissions are still based on expert judgment, the SOFR is fully transacted-based, with Bank of New York Mellon (BNYM) and the Depository Trust and Clearing Corporation (DTCC) providing transaction-level data for three repo market segments: General Tri-Party, Inter-dealer Tri-Party and FICC-Cleared Bilateral. This reference rate encompasses a robust underlying market, is nearly risk-free and correlates closely with other money market rates (e.g. LIBOR).

Each business day, the Federal Reserve Bank of New York calculates and publishes the SOFR at approximately 8:00-8:30 a.m.

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